Optimal Capital Requirements over the Business and Financial Cycles

• 成果类型: Article
• 署名作者: Malherbe, Frederic
• 署名单位: University of London; University College London; University of London; University College London
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.20160140
• 发表日期: 2020
• 页码: 139-174
• 关键词: agency costs; net worth; GROWTH; Procyclicality; MODEL

摘要

I study economies where banks do not fully internalize the social costs of their lending decisions, which leads to real overinvestment. The bank capital requirement that restores investment efficiency varies over time. During booms, more investment is desirable, so the banking sector must be allowed to expand. This suggests a loosening of the requirement. However, there is also more bank capital. Since the banking sector exhibits decreasing returns to scale, this suggests a tightening instead. I find that the latter effect, which I dub the bank capital channel, dominates: the optimal capital requirement is tighter during booms than in recessions.